Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families,

 with Alexander Eisele, Gianpaolo Parise, and Kim Peijnenburg  

Revise and Resubmit at the Journal of Financial Economics

Media coverage: Bloomberg, Reuters,

Presented at the American Finance Association Conference (Philadelphia, 2014), Financial Intermediation Research Society (Lisbon, 2016), European Finance Association (Vienna, 2015), Swiss Winter Conference on Financial Intermediation (Lenzerheide, 2016)the 9th Paris Annual Hedge Fund and Private Equity Research (2016), French Finance Association Conference (Cergy-Pontoise, 2015), European Financial Management Association (Reading, 2013), Lugano Corporate Finance workshop (2012), Gerzensee doctoral seminars (2012), Geneva conference on Liquidity and Arbitrage Trading (2012), Harvard Business School (2014), and Université Paris-Dauphine (2013)

This paper explores the incentives for mutual funds to trade with sibling funds affiliated with the same group. To this end, we construct a dataset of almost one million equity transactions and compare the pricing of trades crossed internally (cross-trades) with that of twin trades executed with external counterparties. We find that cross-trades are used either to opportunistically reallocate performance among trading funds or to reduce transaction costs for both counterparties. The prevalent incentive depends on the intensity of internal monitoring and the market state. We discuss the implications for the literature on fund performance and the current regulatory debate. 

Presented at FMA Conference (forthcoming Boston, 2017), NYU Stern School of Business (2014), the Northern Finance Association Conference (Ottawa, 2014), Midwest-Finance Association Conference (Orlando, 2014), EFMA "MERTON H. MILLER" doctoral seminar (Braga, 2011) 
Using proprietary high-frequency trading data, I analyze information leakage of financial analyst recommendations to their elite clients, as well as characteristics of the institutional investors receiving such advance knowledge. I find that investment managers who have an established relationship with their brokers, on average buy more than other investors in the 5-day period before a positive analyst recommendation initiation. My results suggest that clients who enjoy a privileged relationship with their broker receive and use the pre-released information in their trades. 

Institutional ownership and analysts’ forecasting behavior

Presented at the 9th Swiss Doctoral Workshop in Finance (Gerzensee, 2010), Global Finance Conference in (Poznan, 2010), FMA European Conference Doctoral Consortium (Hamburg, 2010)
This paper brings together three parties: financial analysts, firms and their investors in order to shed additional light on analysts’ forecasting behavior. I use data on companies’ institutional holdings and find that analysts provide more accurate annual earnings forecasts for firms with higher institutional investor ownership. Furthermore, I find evidence suggestive of analysts’ strategic “up-down” bias when giving their forecasts for firms with high institutional ownership. I conclude that they tactically issue positively biased forecasts in the beginning of a period and give subsequent pessimistic forecasts. Analysts who apply this strategy give more informative forecasts than their peers. I also discover that analysts working for larger brokers and analysts with higher firm-specific experience are more likely to act strategically.
Remote forecasts and stock returns with Marina Druz

This study investigates the revelation of private information from analysts to the market. Consistent with previous studies we document that remoteness of earnings forecast from prior consensus (average of other existing forecasts) is positively correlated with accuracy. Therefore, we conclude that remote forecasts provide new information to investors. We document that purchasing (selling short) stocks in response to the forecasts significantly higher (lower) than the existing consensus, yields abnormal gross returns. The result holds after taking transaction costs into consideration. The returns are higher for the forecasts issued by analysts working for mid-sized brokers. Analysts from small brokers apparently remain unnoticed or have a higher likelihood to err; analysts from big brokers impact the market too fast.


The impact of CoCo bonds and Write Down bonds on banks risk appetite and investment policywith C. Aquila, G. Pratobevera and A. Ruzza.

  • Winner of the  Europlace Institute of Finance (EIF) and the Labex Louis Bachelier grant

Playing hide-and-flip in the IPO aftermarket, with Giuseppe Pratobevera